Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results extracte...
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| Auteurs principaux: | , , , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Taylor & Francis Group
2021-01-01
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| Collection: | Cogent Business & Management |
| Sujets: | |
| Accès en ligne: | http://dx.doi.org/10.1080/23311975.2021.1948658 |
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